New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evo ....New Approaches to the Analysis of Count Time Series. The focus of this proposal is on the analysis of data that enumerate events over time. Occurrences of such count data abound in economics and business, examples being observations on insurance claims, loan defaults and individual product demand. This project develops a suite of innovative methods for modelling and predicting event counts. The methods explicitly accommodate both the discreteness of the data and possible complexities in its evolution over time. In so doing, they enable both accurate inferences regarding the dynamic structure of the data to be drawn and accurate forecasts of future event counts to be produced.Read moreRead less
China's Exports and Growth and Major East Asia Summit Economies - Exploring Regional Impact and Policy Responses. The project benefits Australia's current long-term economic priorities and engagement with Asia in five ways. It provides: (1) collaborative research with East Asia Summit (EAS) networked experts on topics of mutual interest, (2) a new perspective on the effects of China on EAS4 trade and growth, (3) substantive improved findings on EAS4 economic and trade policy options, (4) signifi ....China's Exports and Growth and Major East Asia Summit Economies - Exploring Regional Impact and Policy Responses. The project benefits Australia's current long-term economic priorities and engagement with Asia in five ways. It provides: (1) collaborative research with East Asia Summit (EAS) networked experts on topics of mutual interest, (2) a new perspective on the effects of China on EAS4 trade and growth, (3) substantive improved findings on EAS4 economic and trade policy options, (4) significant inputs to analysis, debates and negotiations in the recently proposed EAS free trade agreement (FTA), and (5) useful applications to Australia's similar bilateral FTAs under negotiation (e.g., Australia-Korea and Japan FTAs).Read moreRead less
Solving the water crisis in Australian cities and towns with options contracts between urban and rural water users. We will equip water resource managers with a powerful and effective tool for the allocation of water resources between rural and urban sectors. The importance of this bridge cannot be understated. To date urban centres have endured stringent water restrictions to manage dwindling urban suppliers, while ignoring the potential benefits of purchasing water from the irrigated agricul ....Solving the water crisis in Australian cities and towns with options contracts between urban and rural water users. We will equip water resource managers with a powerful and effective tool for the allocation of water resources between rural and urban sectors. The importance of this bridge cannot be understated. To date urban centres have endured stringent water restrictions to manage dwindling urban suppliers, while ignoring the potential benefits of purchasing water from the irrigated agriculture sector. Furthermore, rural communities have suffered hardship due to restricted agricultural production during times of drought. This research proposal represents an exciting solution to both problems and offers the tantalising prospect of water shortages in our capital cities and towns becoming distant memories.Read moreRead less
Helping Central Banks Measure Unobserved Variables Using Real-time Forecasts. The project addresses structural measurement problems confronted routinely by central bankers. The techniques developed, and the estimates provided, will aid directly the Partner Organisations (the Reserve Bank of Australia, the Reserve Bank of New Zealand and Norges Bank) and other central banks in formulating monetary policy. The analysis will allow interest rates in Australia and elsewhere to be set with greater pre ....Helping Central Banks Measure Unobserved Variables Using Real-time Forecasts. The project addresses structural measurement problems confronted routinely by central bankers. The techniques developed, and the estimates provided, will aid directly the Partner Organisations (the Reserve Bank of Australia, the Reserve Bank of New Zealand and Norges Bank) and other central banks in formulating monetary policy. The analysis will allow interest rates in Australia and elsewhere to be set with greater precision. The techniques developed in this project will facilitate the understanding and communication of monetary policy within the central banks concerned, and enhance communication of monetary policy strategy to the public.Read moreRead less
Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making. This first comprehensive macroeconomic real time database for Australia recording the actual data available to policy makers at the time of making decisions will serve as a standard reference for accurate ex post macroeconomic policy evaluation and for accurate forecasts and decision making which are robust to data revisions. The free database will be of interest to Australian researchers, economists, ....Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making. This first comprehensive macroeconomic real time database for Australia recording the actual data available to policy makers at the time of making decisions will serve as a standard reference for accurate ex post macroeconomic policy evaluation and for accurate forecasts and decision making which are robust to data revisions. The free database will be of interest to Australian researchers, economists, forecasters and policy makers. Readily applicable and interpretable forecasts of the business cycle and the current state of the Australian (and US) economy (e.g. likelihood of recessions or inflation) will be of direct relevance to Australian policy-makers in Government, the Reserve Bank of Australia, and to the Australian decision-makers. Read moreRead less
A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it ....A Bayesian State Space Methodology for Forecasting Stock Market Volatility and Associated Time-varying Risk Premia. Accurate prediction of stock market volatility is critical for effective financial risk management. Along with information on volatility embedded in historical stock market returns, the prices of options written on the underlying stocks also reflect the option market's assessment of future volatility. This project will exploit this dual data source in a completely new way, using it to produce forecasts of both volatility itself and the premia factored into asset prices as a result of traders' perceptions of volatility risk. State-of-the-art statistical methods will be used to produce up-dates of the probability of extreme volatility and/or extreme risk aversion, as new market data becomes available each trading day.Read moreRead less
New estimation and testing issues in nonlinear time series econometrics. The outcomes of this project will not only complement but also enhance the existing strengths of Australian researchers in the field of econometrics. The outcomes are also expected to help stabilise the national financial market for more accurate forecasts. It is also expected that the outcomes will provide novel models to respond to climate change and variability and to provide accurate warming estimates for improving the ....New estimation and testing issues in nonlinear time series econometrics. The outcomes of this project will not only complement but also enhance the existing strengths of Australian researchers in the field of econometrics. The outcomes are also expected to help stabilise the national financial market for more accurate forecasts. It is also expected that the outcomes will provide novel models to respond to climate change and variability and to provide accurate warming estimates for improving the policy making process.Read moreRead less
Obesity Prevention Among Low Income Families: Economic and Strategic Modelling. This study will inform social and economic policies to improve the access and consumption of healthy foods in low income families. This will help prevent and treat obesity in these vulnerable groups.
Developing a responsive regulatory system for Australia's small corporations. Small corporations employ approximately 50% of Australia's 10.5 million employed persons (ABS: Nov 2007). Promoting and maintaining small corporations is vital to the health of the Australian economy and the well being of society. This research will strengthen Australia's social and economic fabric by identifying, in consultation with regulators, industry leaders, government, the ideal regulatory environment for Aust ....Developing a responsive regulatory system for Australia's small corporations. Small corporations employ approximately 50% of Australia's 10.5 million employed persons (ABS: Nov 2007). Promoting and maintaining small corporations is vital to the health of the Australian economy and the well being of society. This research will strengthen Australia's social and economic fabric by identifying, in consultation with regulators, industry leaders, government, the ideal regulatory environment for Australia's small corporations. A responsive regulatory framework will enable small corporations to conduct business more efficiently and profitably allowing for and creating structures and processes for encouraging and managing innovation creativity in this vital sector.Read moreRead less
Growth and Inflation Dynamics: Measuring Steady-State Growth, Output Gaps and Inflationary Pressures using Survey Data in Australia and Other Advanced Economies. The aim of the project is to develop, for Australia and other advanced economies, new measures of 'potential production'. Such measures are important in the prediction of periods of recession and inflation, and in the formulation of macroeconomic policy. The proposal seeks to address the shortcomings of existing measures by (i) incorpor ....Growth and Inflation Dynamics: Measuring Steady-State Growth, Output Gaps and Inflationary Pressures using Survey Data in Australia and Other Advanced Economies. The aim of the project is to develop, for Australia and other advanced economies, new measures of 'potential production'. Such measures are important in the prediction of periods of recession and inflation, and in the formulation of macroeconomic policy. The proposal seeks to address the shortcomings of existing measures by (i) incorporating direct measures of expectations of future output and inflation from survey data, and (ii) being consistent with standard economic analysis. Forming best practice methods in the use of survey data in policy formation and in the production of economic forecasts will be a vital contribution of the project.Read moreRead less